PORTFOLIO OF INVESTMENTS – as of March 31, 2021 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – 84.0% of Net Assets |
| |||||
Non-Convertible Bonds – 77.2% |
| |||||
ABS Other – 0.3% |
| |||||
$ 23,908,255 | GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(a)(b)(c)(d) | $ | 8,977,550 | |||
10,831,507 | GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(a)(b)(c)(d) | 1,653,971 | ||||
42,000,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E, 1/05/2030, 144A(a)(b)(c)(d)(e) | — | ||||
5,187,764 | Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(c)(f) | 5,194,630 | ||||
|
| |||||
15,826,151 | ||||||
|
| |||||
Aerospace & Defense – 4.5% |
| |||||
28,015,000 | Boeing Co. (The), 2.196%, 2/04/2026 | 27,928,125 | ||||
90,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 95,334 | ||||
380,000 | Boeing Co. (The), 3.250%, 2/01/2035 | 368,265 | ||||
2,505,000 | Boeing Co. (The), 3.550%, 3/01/2038 | 2,422,512 | ||||
3,280,000 | Boeing Co. (The), 3.600%, 5/01/2034 | 3,280,173 | ||||
14,845,000 | Boeing Co. (The), 3.625%, 2/01/2031 | 15,530,903 | ||||
1,995,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 1,841,635 | ||||
1,985,000 | Boeing Co. (The), 3.650%, 3/01/2047 | 1,823,487 | ||||
2,660,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 2,540,539 | ||||
4,190,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 3,898,179 | ||||
415,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 400,460 | ||||
6,000,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 5,821,643 | ||||
15,614,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 15,009,903 | ||||
4,755,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 5,476,550 | ||||
53,417,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 67,249,355 | ||||
14,314,000 | Boeing Co. (The), 5.930%, 5/01/2060 | 18,366,654 | ||||
3,145,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 3,277,876 | ||||
9,576,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 11,253,619 | ||||
8,815,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A | 11,330,537 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Aerospace & Defense – continued |
| |||||
$ 5,310,000 | Textron Financial Corp., 3-month LIBOR + 1.735%, 1.929%, 2/15/2067, 144A(g) | $ | 4,241,575 | |||
6,485,000 | TransDigm, Inc., 5.500%, 11/15/2027 | 6,712,818 | ||||
17,765,000 | TransDigm, Inc., 6.500%, 5/15/2025 | 18,098,094 | ||||
370,000 | TransDigm, Inc., 7.500%, 3/15/2027 | 394,050 | ||||
19,475,000 | TransDigm, Inc., 8.000%, 12/15/2025, 144A | 21,208,275 | ||||
|
| |||||
248,570,561 | ||||||
|
| |||||
Airlines – 1.9% |
| |||||
17,495,000 | Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A(h) | 18,804,151 | ||||
240,000 | American Airlines Group, Inc., 3.750%, 3/01/2025, 144A | 204,746 | ||||
20,000,000 | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | 19,650,000 | ||||
1,506,441 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 1,414,533 | ||||
872,770 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 801,646 | ||||
2,655,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 2,763,032 | ||||
3,055,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 3,249,451 | ||||
146,817 | Continental Airlines Pass Through Certificates, Series 2001-1, Class A-1, 6.703%, 12/15/2022 | 146,342 | ||||
26,975,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | 29,571,344 | ||||
120,264 | Northwest Airlines Pass Through Trust, Series 2002-1, Class G2, (MBIA Insured), 6.264%, 5/20/2023 | 122,185 | ||||
24,478,570 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(h) | 27,077,215 | ||||
3,175,000 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 3,296,730 | ||||
|
| |||||
107,101,375 | ||||||
|
| |||||
Automotive – 2.7% |
| |||||
1,210,000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | 1,285,988 | ||||
46,535,000 | Ford Motor Co., 4.750%, 1/15/2043 | 46,879,359 | ||||
1,220,000 | Ford Motor Co., 6.625%, 2/15/2028 | 1,378,795 | ||||
1,345,000 | Ford Motor Co., 7.500%, 8/01/2026 | 1,574,686 | ||||
1,500,000 | Ford Motor Credit Co. LLC, 5.113%, 5/03/2029 | 1,610,175 | ||||
5,000,000 | Ford Motor Credit Co. LLC, 5.125%, 6/16/2025 | 5,400,000 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Automotive – continued |
| |||||
$ 2,845,000 | General Motors Co., 5.200%, 4/01/2045 | $ | 3,266,656 | |||
2,120,000 | General Motors Co., 6.250%, 10/02/2043 | 2,715,054 | ||||
540,000 | General Motors Financial Co, Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(i) | 566,352 | ||||
62,220,000 | General Motors Financial Co., Inc., 3.600%, 6/21/2030 | 65,631,263 | ||||
865,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(i) | 934,200 | ||||
11,130,000 | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027 | 11,449,987 | ||||
1,585,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026 | 1,628,033 | ||||
4,977,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 5,563,589 | ||||
|
| |||||
149,884,137 | ||||||
|
| |||||
Banking – 5.8% |
| |||||
6,000,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 8,356,043 | ||||
13,200,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A | 14,820,960 | ||||
9,275,000 | Bank of America Corp., (fixed rate to 10/24/2030, variable rate thereafter), MTN, 1.922%, 10/24/2031(h) | 8,728,384 | ||||
983,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028(h) | 1,055,624 | ||||
8,355,000 | Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031(h) | 8,337,557 | ||||
5,895,000 | Bank of America Corp., (fixed rate to 7/23/2030, variable rate thereafter), MTN, 1.898%, 7/23/2031(h) | 5,537,405 | ||||
265,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 297,168 | ||||
7,045,000 | Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027 | 7,834,537 | ||||
31,380,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 31,425,187 | ||||
19,940,000 | BNP Paribas S.A., 2.824%, 1/26/2041, 144A(h) | 17,975,511 | ||||
9,462,000 | BNP Paribas S.A., (fixed rate to 8/12/2030, variable rate thereafter), 2.588%, 8/12/2035, 144A | 8,897,686 | ||||
26,680,000 | Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031(h) | 30,447,538 | ||||
1,965,000 | Citigroup, Inc., (fixed rate to 6/03/2030, variable rate thereafter), 2.572%, 6/03/2031 | 1,963,464 | ||||
8,855,000 | Credit Agricole S.A., 2.811%, 1/11/2041, 144A | 8,025,575 | ||||
1,995,000 | Credit Agricole S.A., 3.250%, 1/14/2030, 144A | 2,056,945 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Banking – continued |
| |||||
$ 5,325,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), EMTN, 4.000%, 1/10/2033 | $ | 5,708,331 | |||
1,709,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,823,315 | ||||
19,245,000 | Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A | 21,021,506 | ||||
5,531,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030(h) | 5,621,266 | ||||
18,750,000 | JPMorgan Chase & Co., (fixed rate to 11/19/2030, variable rate thereafter), 1.764%, 11/19/2031(h) | 17,488,006 | ||||
26,645,000 | JPMorgan Chase & Co., (fixed rate to 2/04/2031, variable rate thereafter), 1.953%, 2/04/2032(h) | 25,253,117 | ||||
30,335,000 | Morgan Stanley, (fixed rate to 2/13/2031, variable rate thereafter), MTN, 1.794%, 2/13/2032(h) | 28,313,438 | ||||
25,605,000 | Morgan Stanley, GMTN, 4.350%, 9/08/2026 | 28,929,943 | ||||
14,965,000 | NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035 | 14,310,132 | ||||
13,520,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 14,330,339 | ||||
|
| |||||
318,558,977 | ||||||
|
| |||||
Brokerage – 0.8% |
| |||||
14,755,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 18,966,234 | ||||
12,980,000 | Jefferies Group LLC, 6.450%, 6/08/2027 | 16,179,268 | ||||
7,155,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | 7,652,341 | ||||
|
| |||||
42,797,843 | ||||||
|
| |||||
Building Materials – 1.1% |
| |||||
5,565,000 | American Woodmark Corp., 4.875%, 3/15/2026, 144A | 5,708,021 | ||||
24,885,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 24,287,760 | ||||
2,395,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 2,590,216 | ||||
5,576,000 | Cemex SAB de CV, 5.700%, 1/11/2025, 144A | 5,688,635 | ||||
3,255,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | 3,365,833 | ||||
1,859,000 | Masco Corp., 6.500%, 8/15/2032 | 2,407,350 | ||||
1,226,000 | Masco Corp., 7.750%, 8/01/2029 | 1,628,007 | ||||
10,800,000 | Owens Corning, 7.000%, 12/01/2036 | 14,756,249 | ||||
|
| |||||
60,432,071 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Cable Satellite – 2.7% |
| |||||
$ 4,360,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A | $ | 4,499,520 | |||
3,905,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 2.800%, 4/01/2031 | 3,853,798 | ||||
71,120,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051 | 66,518,849 | ||||
9,570,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061 | 8,773,297 | ||||
4,940,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.900%, 6/01/2052 | 4,742,993 | ||||
3,900,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.125%, 7/01/2049 | 4,387,777 | ||||
17,880,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | 18,796,350 | ||||
6,568,000 | DISH DBS Corp., 5.875%, 11/15/2024 | 6,868,946 | ||||
15,865,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 17,510,756 | ||||
4,835,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 5,167,696 | ||||
135,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 167,649 | ||||
4,915,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 5,117,744 | ||||
|
| |||||
146,405,375 | ||||||
|
| |||||
Chemicals – 0.4% |
| |||||
4,205,000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A | 4,158,745 | ||||
1,320,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 1,326,164 | ||||
6,735,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 6,763,893 | ||||
905,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | 905,000 | ||||
6,275,000 | Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A | 6,466,890 | ||||
|
| |||||
19,620,692 | ||||||
|
| |||||
Construction Machinery – 0.0% |
| |||||
1,310,000 | United Rentals North America, Inc., 4.875%, 1/15/2028 | 1,379,915 | ||||
|
| |||||
Consumer Cyclical Services – 2.6% |
| |||||
3,430,000 | Expedia Group, Inc., 2.950%, 3/15/2031, 144A | 3,383,009 | ||||
28,355,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 28,537,773 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Consumer Cyclical Services – continued |
| |||||
$ 28,700,000 | Expedia Group, Inc., 3.800%, 2/15/2028 | $ | 30,398,308 | |||
10,550,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 10,365,375 | ||||
5,500,000 | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 | 6,448,750 | ||||
9,620,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 9,410,284 | ||||
17,130,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 18,657,996 | ||||
34,205,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 37,782,183 | ||||
|
| |||||
144,983,678 | ||||||
|
| |||||
Consumer Products – 0.3% |
| |||||
11,880,000 | Avon Products, Inc., 8.450%, 3/15/2043 | 14,523,300 | ||||
2,405,000 | Whirlpool Corp., 4.600%, 5/15/2050 | 2,764,982 | ||||
|
| |||||
17,288,282 | ||||||
|
| |||||
Electric – 1.1% |
| |||||
24,390,255 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 27,829,373 | ||||
835,000 | Edison International, 4.950%, 4/15/2025 | 932,039 | ||||
3,570,000 | Enel Generacion Chile S.A., 7.875%, 2/01/2027 | 4,534,260 | ||||
1,635,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | 1,627,769 | ||||
4,365,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 3,787,796 | ||||
5,515,000 | Pacific Gas & Electric Co., 4.250%, 3/15/2046 | 5,279,156 | ||||
7,435,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 7,237,001 | ||||
7,860,000 | Pacific Gas & Electric Co., 4.750%, 2/15/2044 | 8,040,178 | ||||
|
| |||||
59,267,572 | ||||||
|
| |||||
Finance Companies – 7.5% |
| |||||
780,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 | 818,475 | ||||
6,980,000 | Air Lease Corp., 3.125%, 12/01/2030 | 6,959,307 | ||||
4,298,000 | Air Lease Corp., 4.625%, 10/01/2028 | 4,714,694 | ||||
2,645,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 2,588,682 | ||||
11,210,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(i) | 11,069,875 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Finance Companies – continued |
| |||||
$ 1,020,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | $ | 1,069,747 | |||
20,000,000 | Antares Holdings LP, 8.500%, 5/18/2025, 144A | 23,363,737 | ||||
5,315,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 5,178,420 | ||||
7,225,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 7,166,269 | ||||
40,505,000 | GE Capital Funding LLC, 4.550%, 5/15/2032, 144A | 46,441,039 | ||||
11,150,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 12,764,074 | ||||
135,000 | Navient Corp., 5.000%, 3/15/2027 | 135,338 | ||||
22,945,000 | Navient Corp., 5.500%, 1/25/2023 | 23,805,437 | ||||
3,030,000 | Navient Corp., 5.875%, 10/25/2024 | 3,181,833 | ||||
109,950(††) | Navient Corp., 6.000%, 12/15/2043 | 2,694,142 | ||||
950,000 | Navient Corp., 6.750%, 6/15/2026 | 1,029,800 | ||||
54,470,000 | Navient Corp., MTN, 5.625%, 8/01/2033 | 50,894,044 | ||||
47,984,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 50,803,060 | ||||
6,490,000 | Navient Corp., MTN, 7.250%, 1/25/2022 | 6,725,262 | ||||
23,115,000 | OneMain Finance Corp., 6.875%, 3/15/2025 | 26,291,579 | ||||
4,075,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 4,699,901 | ||||
55,015,000 | OneMain Finance Corp., 8.250%, 10/01/2023 | 61,891,875 | ||||
14,750,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | 15,479,083 | ||||
4,360,000 | Quicken Loans LLC, 5.250%, 1/15/2028, 144A | 4,578,000 | ||||
9,185,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 8,840,562 | ||||
31,980,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 30,780,750 | ||||
|
| |||||
413,964,985 | ||||||
|
| |||||
Financial Other – 0.7% |
| |||||
25,740,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A | 25,153,385 | ||||
3,580,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 3,696,350 | ||||
11,820,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | 11,867,871 | ||||
|
| |||||
40,717,606 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Food & Beverage – 1.6% |
| |||||
$ 24,865,000 | Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050 | $ | 28,212,249 | |||
42,290,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 44,308,925 | ||||
14,805,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 14,075,854 | ||||
|
| |||||
86,597,028 | ||||||
|
| |||||
Gaming – 0.4% |
| |||||
5,475,000 | International Game Technology PLC, 6.250%, 1/15/2027, 144A | 6,065,999 | ||||
12,590,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 13,453,800 | ||||
|
| |||||
19,519,799 | ||||||
|
| |||||
Government Owned—No Guarantee – 1.1% |
| |||||
455,800,000 | Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(h) | 6,317,263 | ||||
6,535,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A | 8,085,874 | ||||
6,586,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 6,256,700 | ||||
12,239,000 | Petroleos Mexicanos, 6.950%, 1/28/2060 | 10,497,268 | ||||
30,245,000 | Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(h) | 27,370,200 | ||||
|
| |||||
58,527,305 | ||||||
|
| |||||
Health Insurance – 0.3% |
| |||||
16,665,000 | Centene Corp., 2.500%, 3/01/2031 | 15,915,408 | ||||
2,240,000 | Centene Corp., 3.000%, 10/15/2030 | 2,236,282 | ||||
|
| |||||
18,151,690 | ||||||
|
| |||||
Healthcare – 2.8% |
| |||||
1,980,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A | 1,983,128 | ||||
2,110,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A | 2,144,921 | ||||
16,025,000 | HCA, Inc., 5.250%, 6/15/2049 | 19,609,295 | ||||
14,620,000 | HCA, Inc., 7.050%, 12/01/2027 | 17,580,550 | ||||
24,215,000 | HCA, Inc., 7.500%, 11/06/2033 | 32,275,689 | ||||
9,492,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 12,481,980 | ||||
19,785,000 | Tenet Healthcare Corp., 5.125%, 5/01/2025 | 20,062,979 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Healthcare – continued |
| |||||
$ 43,749,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 | $ | 48,632,701 | |||
|
| |||||
154,771,243 | ||||||
|
| |||||
Home Construction – 1.4% |
| |||||
47,260,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 59,075,000 | ||||
13,190,000 | PulteGroup, Inc., 6.375%, 5/15/2033 | 16,758,159 | ||||
195,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024 | 215,475 | ||||
|
| |||||
76,048,634 | ||||||
|
| |||||
Independent Energy – 2.3% |
| |||||
9,350,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 9,644,350 | ||||
14,035,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 14,630,537 | ||||
6,638,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.000%, 11/01/2027, 144A | 8,468,628 | ||||
2,810,000 | Continental Resources, Inc., 3.800%, 6/01/2024 | 2,880,250 | ||||
3,575,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 3,569,085 | ||||
2,340,000 | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 2,428,566 | ||||
6,210,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 6,300,790 | ||||
8,120,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 8,117,077 | ||||
12,640,000 | Hess Corp., 5.600%, 2/15/2041 | 14,581,473 | ||||
550,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 600,825 | ||||
10,835,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A | 11,859,341 | ||||
17,908,000 | Mesquite Energy, Inc., 6.125%, 1/15/2023(a)(c)(d)(j) | 327,716 | ||||
9,520,000 | Mesquite Energy, Inc., 7.750%, 6/15/2021(a)(c)(d)(j) | 174,216 | ||||
540,000 | Occidental Petroleum Corp., 4.500%, 7/15/2044 | 459,702 | ||||
32,720,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 36,770,736 | ||||
2,390,000 | Pan American Energy LLC, 7.875%, 5/07/2021, 144A | 2,353,457 | ||||
1,110,000 | Southwestern Energy Co., 6.450%, 1/23/2025 | 1,191,502 | ||||
2,678,000 | WPX Energy, Inc., 4.500%, 1/15/2030 | 2,883,644 | ||||
|
| |||||
127,241,895 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Leisure – 0.6% |
| |||||
$ 11,785,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | $ | 12,094,356 | |||
6,575,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 6,640,750 | ||||
2,415,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 2,460,281 | ||||
12,300,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 12,361,500 | ||||
|
| |||||
33,556,887 | ||||||
|
| |||||
Life Insurance – 1.4% |
| |||||
3,575,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | 3,647,831 | ||||
13,830,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | 16,204,710 | ||||
15,000,000 | Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A | 15,033,251 | ||||
20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A(c)(f) | 30,567,600 | ||||
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A(c)(f) | 11,428,393 | ||||
|
| |||||
76,881,785 | ||||||
|
| |||||
Lodging – 0.4% |
| |||||
7,620,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 7,395,972 | ||||
7,440,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 7,301,965 | ||||
3,630,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 3,762,713 | ||||
970,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 1,074,275 | ||||
1,120,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 1,271,592 | ||||
|
| |||||
20,806,517 | ||||||
|
| |||||
Media Entertainment – 1.4% |
| |||||
5,500,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 5,348,750 | ||||
6,785,000 | Discovery Communications LLC, 4.000%, 9/15/2055, 144A | 6,678,577 | ||||
6,370,000 | Discovery Communications LLC, 4.650%, 5/15/2050 | 7,024,239 | ||||
3,925,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 3,954,437 | ||||
1,095,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 1,126,328 | ||||
4,635,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 4,971,037 | ||||
11,240,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 12,943,310 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Media Entertainment – continued |
| |||||
$1,305,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | $ | 1,543,228 | |||
6,520,000 | Netflix, Inc., 5.875%, 11/15/2028 | 7,886,386 | ||||
7,670,000 | Netflix, Inc., 6.375%, 5/15/2029 | 9,510,800 | ||||
3,956,000 | ViacomCBS, Inc., 4.375%, 3/15/2043 | 4,268,781 | ||||
4,469,000 | ViacomCBS, Inc., 4.900%, 8/15/2044 | 5,173,370 | ||||
4,600,000 | ViacomCBS, Inc., 4.950%, 5/19/2050 | 5,391,918 | ||||
|
| |||||
75,821,161 | ||||||
|
| |||||
Metals & Mining – 2.7% |
| |||||
8,090,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 7,917,282 | ||||
13,790,000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 13,640,820 | ||||
22,016,000 | ArcelorMittal S.A., 7.000%, 3/01/2041 | 30,040,832 | ||||
1,970,000 | Barrick North America Finance LLC, 5.750%, 5/01/2043 | 2,594,805 | ||||
2,630,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 2,722,050 | ||||
35,930,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 38,534,925 | ||||
1,810,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1,868,825 | ||||
9,590,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 9,763,867 | ||||
22,815,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 27,161,600 | ||||
12,330,000 | Glencore Funding LLC, 2.500%, 9/01/2030, 144A | 11,848,143 | ||||
2,730,000 | Kaiser Aluminum Corp., 6.500%, 5/01/2025, 144A | 2,892,981 | ||||
1,900,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 1,947,367 | ||||
|
| |||||
150,933,497 | ||||||
|
| |||||
Midstream – 0.6% |
| |||||
14,530,000 | Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(h) | 14,008,695 | ||||
505,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 669,823 | ||||
1,425,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 1,451,257 | ||||
185,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 170,182 | ||||
11,340,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044 | 10,789,514 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Midstream – continued |
| |||||
$ 1,180,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045 | $ | 1,154,123 | |||
3,515,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A | 3,305,928 | ||||
|
| |||||
31,549,522 | ||||||
|
| |||||
Non-Agency Commercial Mortgage-Backed Securities – 0.0% |
| |||||
290,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.419%, 12/15/2047, 144A(k) | 283,054 | ||||
|
| |||||
Packaging – 0.2% |
| |||||
8,750,000 | Owens-Brockway Glass Container, Inc., 6.625%, 5/13/2027, 144A | 9,512,344 | ||||
|
| |||||
Paper – 0.8% |
| |||||
15,225,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029(h) | 21,422,867 | ||||
4,865,000 | WestRock MWV LLC, 7.950%, 2/15/2031 | 6,749,700 | ||||
8,750,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 12,006,771 | ||||
2,840,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 3,615,612 | ||||
|
| |||||
43,794,950 | ||||||
|
| |||||
Pharmaceuticals – 0.5% |
| |||||
3,285,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A | 3,153,600 | ||||
22,015,000 | Viatris, Inc., 4.000%, 6/22/2050, 144A | 22,434,417 | ||||
|
| |||||
25,588,017 | ||||||
|
| |||||
Property & Casualty Insurance – 0.7% |
| |||||
12,510,000 | MBIA Insurance Corp., 3-month LIBOR + 11.260%, 11.501%, 1/15/2033, 144A(c)(e)(f)(g) | 5,629,500 | ||||
1,500,000 | MGIC Investment Corp., 5.250%, 8/15/2028 | 1,558,125 | ||||
7,385,000 | Nationwide Mutual Insurance Co., 4.350%, 4/30/2050, 144A | 7,751,867 | ||||
20,810,000 | Radian Group, Inc., 6.625%, 3/15/2025 | 23,316,669 | ||||
|
| |||||
38,256,161 | ||||||
|
| |||||
REITs - Diversified – 0.0% |
| |||||
665,000 | iStar, Inc., 4.750%, 10/01/2024 | 691,869 | ||||
|
| |||||
REITs - Hotels – 0.2% |
| |||||
545,000 | Service Properties Trust, 3.950%, 1/15/2028 | 502,763 | ||||
5,965,000 | Service Properties Trust, 4.350%, 10/01/2024 | 5,930,028 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
REITs - Hotels – continued |
| |||||
$ 1,690,000 | Service Properties Trust, 4.500%, 6/15/2023 | $ | 1,716,803 | |||
940,000 | Service Properties Trust, 4.650%, 3/15/2024 | 940,000 | ||||
915,000 | Service Properties Trust, 4.750%, 10/01/2026 | 892,125 | ||||
2,750,000 | Service Properties Trust, 4.950%, 2/15/2027 | 2,719,063 | ||||
|
| |||||
12,700,782 | ||||||
|
| |||||
REITs - Office Property – 0.0% |
| |||||
1,910,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 1,846,928 | ||||
|
| |||||
REITs - Shopping Centers – 0.0% |
| |||||
1,600,000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | 1,569,944 | ||||
|
| |||||
Restaurants – 0.4% |
| |||||
19,175,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 19,558,596 | ||||
|
| |||||
Retailers – 0.5% |
| |||||
3,250,000 | Carvana Co., 5.625%, 10/01/2025, 144A | 3,336,255 | ||||
6,245,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 6,443,778 | ||||
3,325,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 3,632,164 | ||||
1,500,000 | Dillard’s, Inc., 7.750%, 7/15/2026 | 1,720,725 | ||||
1,795,000 | Hanesbrands, Inc., 5.375%, 5/15/2025, 144A | 1,899,334 | ||||
6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 7,312,621 | ||||
2,555,000 | Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A | 2,511,374 | ||||
|
| |||||
26,856,251 | ||||||
|
| |||||
Sovereigns – 0.5% |
| |||||
30,640,000 | Mexico Government International Bond, 3.771%, 5/24/2061 | 27,136,010 | ||||
|
| |||||
Supermarkets – 0.1% |
| |||||
1,840,000 | Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 5.750%, 3/15/2025 | 1,900,168 | ||||
2,290,000 | Safeway, Inc., 7.250%, 2/01/2031 | 2,656,400 | ||||
|
| |||||
4,556,568 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Supranational – 0.1% |
| |||||
525,240,000 | International Finance Corp., 5.850%, 11/25/2022, (INR)(h) | $ | 7,228,414 | |||
|
| |||||
Technology – 2.6% |
| |||||
5,500,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 5,936,481 | ||||
23,110,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 25,160,699 | ||||
9,820,000 | Broadcom, Inc., 5.000%, 4/15/2030 | 11,192,014 | ||||
15,295,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 15,151,686 | ||||
23,345,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 23,635,645 | ||||
9,350,000 | Jabil, Inc., 3.600%, 1/15/2030 | 9,791,918 | ||||
8,250,000 | Jabil, Inc., 3.950%, 1/12/2028 | 9,169,886 | ||||
15,170,000 | KLA Corp., 5.650%, 11/01/2034 | 18,968,247 | ||||
3,145,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 3,572,521 | ||||
3,970,000 | Micron Technology, Inc., 4.975%, 2/06/2026 | 4,542,846 | ||||
3,800,000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 4,470,443 | ||||
1,829,000 | Seagate HDD Cayman, 4.091%, 6/01/2029, 144A | 1,865,489 | ||||
1,688,000 | Seagate HDD Cayman, 4.875%, 6/01/2027 | 1,854,690 | ||||
5,200,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 5,293,756 | ||||
|
| |||||
140,606,321 | ||||||
|
| |||||
Transportation Services – 0.8% |
| |||||
4,150,000 | Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A | 3,928,431 | ||||
14,685,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 15,573,296 | ||||
810,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A | 839,363 | ||||
4,436,000 | Fenix Marine Service Holdings Ltd., 8.000%, 1/15/2024 | 4,613,351 | ||||
18,795,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A | 20,632,496 | ||||
|
| |||||
45,586,937 | ||||||
|
| |||||
Treasuries – 14.1% |
| |||||
142,342(†††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL) | 26,754,110 | ||||
5,454,785(††††) | Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN) | 27,574,826 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Treasuries – continued |
| |||||
$ 3,415,000 | U.S. Treasury Bond, 1.250%, 5/15/2050(h) | $ | 2,577,124 | |||
195,835,000 | U.S. Treasury Note, 0.125%, 11/30/2022(h) | 195,796,752 | ||||
109,525,000 | U.S. Treasury Note, 0.125%, 12/31/2022(l) | 109,477,938 | ||||
117,000,000 | U.S. Treasury Note, 0.125%, 1/31/2023(h) | 116,945,156 | ||||
300,000,000 | U.S. Treasury Note, 0.125%, 2/28/2023(h) | 299,812,500 | ||||
|
| |||||
778,938,406 | ||||||
|
| |||||
Wireless – 3.0% |
| |||||
1,705,000 | American Tower Corp., 1.875%, 10/15/2030 | 1,595,054 | ||||
1,255,000 | American Tower Corp., 2.100%, 6/15/2030 | 1,194,249 | ||||
1,965,000 | American Tower Corp., 2.950%, 1/15/2051 | 1,737,189 | ||||
9,745,000 | American Tower Corp., 3.100%, 6/15/2050 | 8,958,287 | ||||
6,300,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A | 6,150,834 | ||||
6,415,000 | Crown Castle International Corp., 2.250%, 1/15/2031 | 6,165,760 | ||||
6,735,000 | Crown Castle International Corp., 3.250%, 1/15/2051 | 6,199,388 | ||||
1,490,000 | Crown Castle International Corp., 3.300%, 7/01/2030 | 1,559,651 | ||||
20,720,000 | HTA Group Ltd., 7.000%, 12/18/2025 | 22,015,000 | ||||
1,200,000 | HTA Group Ltd. Co., 7.000%, 12/18/2025, 144A | 1,275,000 | ||||
7,228,000 | IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A | 7,801,614 | ||||
2,580,000 | Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A | 2,642,333 | ||||
5,345,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 5,693,387 | ||||
490,000 | Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A | 515,607 | ||||
1,903,500 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 2,000,198 | ||||
4,225,500 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 4,698,672 | ||||
16,600,000 | SBA Communications Corp., 3.125%, 2/01/2029, 144A | 15,955,090 | ||||
27,610,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 27,817,075 | ||||
13,640,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 13,742,300 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Non-Convertible Bonds – continued |
| |||||
Wireless – continued |
| |||||
$ 25,025,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A | $ | 27,161,134 | |||
|
| |||||
164,877,822 | ||||||
|
| |||||
Wirelines – 3.3% |
| |||||
81,275,000 | AT&T, Inc., 3.500%, 9/15/2053, 144A | 75,109,140 | ||||
18,163,000 | AT&T, Inc., 3.650%, 9/15/2059, 144A | 16,602,228 | ||||
11,177,000 | AT&T, Inc., 3.800%, 12/01/2057, 144A | 10,633,648 | ||||
350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 383,793 | ||||
2,160,000 | Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A | 2,297,516 | ||||
1,240,000 | Lumen Technologies, Inc., 5.625%, 4/01/2025 | 1,337,650 | ||||
30,646,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 34,757,161 | ||||
16,440,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 19,350,866 | ||||
6,005,000 | Verizon Communications, Inc., 3.550%, 3/22/2051 | 5,996,574 | ||||
14,223,000 | Verizon Communications, Inc., 4.329%, 9/21/2028 | 16,285,193 | ||||
|
| |||||
182,753,769 | ||||||
|
| |||||
Total Non-Convertible Bonds (Identified Cost $4,158,069,561) | 4,249,549,326 | |||||
|
| |||||
Convertible Bonds – 5.5% |
| |||||
Airlines – 0.4% |
| |||||
3,695,000 | JetBlue Airways Corp., 0.500%, 4/01/2026, 144A | 4,060,066 | ||||
11,670,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 20,035,931 | ||||
|
| |||||
24,095,997 | ||||||
|
| |||||
Cable Satellite – 2.8% |
| |||||
14,660,000 | DISH Network Corp., 2.375%, 3/15/2024 | 14,091,925 | ||||
143,750,000 | DISH Network Corp., 3.375%, 8/15/2026 | 138,186,875 | ||||
|
| |||||
152,278,800 | ||||||
|
| |||||
Communications – 0.1% |
| |||||
8,280,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(s) | 7,824,600 | ||||
|
| |||||
Consumer Cyclical Services – 0.3% |
| |||||
5,370,000 | Expedia Group, Inc., Zero Coupon, 0.000% 2/15/2026, 144A(s) | 5,861,355 |
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Convertible Bonds – continued |
| |||||
Consumer Cyclical Services – continued |
| |||||
$ 4,045,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(m) | $ | 3,825,053 | |||
7,860,000 | Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(s) | 8,257,913 | ||||
|
| |||||
17,944,321 | ||||||
|
| |||||
Electric – 0.1% |
| |||||
2,615,000 | Sunrun, Inc., Zero Coupon, 0.000%, 2/01/2026, 144A(s) | 2,348,731 | ||||
|
| |||||
Healthcare – 0.5% |
| |||||
4,000,000 | SmileDirectClub, Inc., Zero Coupon, 0.000%, 2/01/2026, 144A(s) | 3,502,500 | ||||
21,510,000 | Teladoc Health, Inc., 1.250%, 6/01/2027, 144A | 23,904,063 | ||||
|
| |||||
27,406,563 | ||||||
|
| |||||
Lodging – 0.2% |
| |||||
6,830,000 | Marriott Vacations Worldwide Corp., Zero Coupon, 0.000%, 1/15/2026, 144A(s) | 8,089,281 | ||||
|
| |||||
Oil Field Services – 0.1% |
| |||||
10,170,195 | Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash, 11/15/2025, 144A(a)(b)(c)(d)(n)(o) | 6,604,016 | ||||
|
| |||||
Pharmaceuticals – 0.6% |
| |||||
8,280,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 8,378,532 | ||||
17,880,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A | 17,533,128 | ||||
4,990,000 | Halozyme Therapeutics, Inc., 0.250%, 3/01/2027, 144A | 4,544,019 | ||||
1,315,000 | Livongo Health, Inc., 0.875%, 6/01/2025, 144A | 2,229,714 | ||||
1,545,000 | Neurocrine Biosciences, Inc., 2.250%, 5/15/2024 | 2,077,059 | ||||
|
| |||||
34,762,452 | ||||||
|
| |||||
Technology – 0.4% |
| |||||
530,000 | Bentley Systems, Inc., 0.125%, 1/15/2026, 144A | 547,787 | ||||
4,260,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025, 144A | 5,261,100 | ||||
17,000,000 | Western Digital Corp., 1.500%, 2/01/2024 | 17,363,330 | ||||
|
| |||||
23,172,217 | ||||||
|
| |||||
Total Convertible Bonds (Identified Cost $310,302,356) | 304,526,978 | |||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Municipals – 1.3% |
| |||||
Virginia – 1.3% |
| |||||
$ 68,005,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $67,999,040) | $ | 71,369,194 | |||
|
| |||||
Total Bonds and Notes (Identified Cost $4,536,370,957) | 4,625,445,498 | |||||
|
| |||||
Senior Loans – 0.4% |
| |||||
Chemicals – 0.1% |
| |||||
7,037,600 | Aruba Investments, Inc., 2020 2nd Lien Term Loan, 3-month LIBOR + 7.750%, 8.500%, 11/24/2028(g) | 7,055,194 | ||||
|
| |||||
Independent Energy – 0.3% |
| |||||
12,660,000 | Ascent Resources—Utica, 2020 2nd Lien Term Loan, 1-month LIBOR + 9.000%, 10.000%, 11/01/2025(g) | 13,989,300 | ||||
|
| |||||
Total Senior Loans (Identified Cost $19,596,738) | 21,044,494 | |||||
|
| |||||
Collateralized Loan Obligations – 0.3% |
| |||||
9,390,000 | AIG CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 4/22/2034, 144A(a)(g)(r) | 9,390,000 | ||||
2,890,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 2.966%, 1/20/2034, 144A(g) | 2,887,323 | ||||
990,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.218%, 1/23/2031, 144A(g) | 990,052 | ||||
3,480,000 | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 3.100%, 4/15/2034, 144A(a)(g) | 3,480,000 | ||||
|
| |||||
16,747,375 | ||||||
|
| |||||
Total Collateralized Loan Obligations (Identified Cost $16,751,139) | 16,747,375 | |||||
|
| |||||
Shares |
|
| ||||
Common Stocks – 11.7% |
| |||||
Aerospace & Defense – 0.3% |
| |||||
43,358 | Lockheed Martin Corp. | 16,020,781 | ||||
|
| |||||
Air Freight & Logistics – 0.3% |
| |||||
95,239 | United Parcel Service, Inc., Class B | 16,189,678 | ||||
|
| |||||
Beverages – 0.3% |
| |||||
300,392 | Coca-Cola Co. (The) | 15,833,662 | ||||
|
| |||||
Capital Markets – 0.6% |
| |||||
21,425 | BlackRock, Inc. | 16,153,593 | ||||
203,175 | Morgan Stanley | 15,778,571 | ||||
|
| |||||
31,932,164 | ||||||
|
| |||||
Chemicals – 0.2% |
| |||||
664,252 | Hexion Holdings Corp., Class B(e) | 10,129,843 | ||||
|
|
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Communications Equipment – 0.3% |
| |||||
310,278 | Cisco Systems, Inc. | $ | 16,044,475 | |||
|
| |||||
Electric Utilities – 0.6% |
| |||||
166,917 | Duke Energy Corp. | 16,112,498 | ||||
216,215 | NextEra Energy, Inc. | 16,348,016 | ||||
|
| |||||
32,460,514 | ||||||
|
| |||||
Electronic Equipment, Instruments & Components – 0.4% |
| |||||
541,219 | Corning, Inc. | 23,548,439 | ||||
|
| |||||
Food & Staples Retailing – 0.3% |
| |||||
117,915 | Walmart, Inc. | 16,016,394 | ||||
|
| |||||
Health Care Equipment & Supplies – 0.3% |
| |||||
134,055 | Abbott Laboratories | 16,065,151 | ||||
|
| |||||
Health Care Providers & Services – 0.5% |
| |||||
44,130 | Anthem, Inc. | 15,840,463 | ||||
42,985 | UnitedHealth Group, Inc. | 15,993,429 | ||||
|
| |||||
31,833,892 | ||||||
|
| |||||
Hotels, Restaurants & Leisure – 0.3% |
| |||||
145,627 | Starbucks Corp. | 15,912,662 | ||||
|
| |||||
Household Products – 0.3% |
| |||||
118,521 | Procter & Gamble Co. (The) | 16,051,299 | ||||
|
| |||||
Insurance – 0.3% |
| |||||
168,149 | Progressive Corp. (The) | 16,076,726 | ||||
|
| |||||
IT Services – 0.6% |
| |||||
57,672 | Accenture PLC, Class A | 15,931,890 | ||||
85,117 | Automatic Data Processing, Inc. | 16,042,001 | ||||
|
| |||||
31,973,891 | ||||||
|
| |||||
Machinery – 0.3% |
| |||||
42,876 | Deere & Co. | 16,041,627 | ||||
|
| |||||
Media – 0.5% |
| |||||
2,500,188 | Clear Channel Outdoor Holdings, Inc.(e) | 4,500,338 | ||||
292,209 | Comcast Corp., Class A | 15,811,429 | ||||
461,939 | iHeartMedia, Inc., Class A(e) | 8,384,193 | ||||
|
| |||||
28,695,960 | ||||||
|
| |||||
Metals & Mining – 0.3% |
| |||||
268,076 | Newmont Corp. | 16,156,941 | ||||
|
| |||||
Oil Field Services – 0.0% |
| |||||
60,638 | Pioneer Energy Services Corp.(a)(b)(c)(d)(e) | — | ||||
|
| |||||
Oil, Gas & Consumable Fuels – 1.0% |
| |||||
9,229 | Battalion Oil Corp.(e) | 100,412 | ||||
151,691 | Chevron Corp. | 15,895,700 | ||||
500,544 | Lonestar Resources U.S., Inc.(a)(b)(c)(d)(e)(o) | 2,712,948 |
Shares | Description | Value (†) | ||||
Common Stocks – continued |
| |||||
Oil, Gas & Consumable Fuels – continued |
| |||||
225,503 | Paragon Offshore Ltd., Litigation Units, Class B(a)(b)(d)(e) | $ | 1,761,178 | |||
502,944 | Whiting Petroleum Corp.(e) | 17,829,365 | ||||
678,252 | Williams Cos., Inc. (The) | 16,067,790 | ||||
|
| |||||
54,367,393 | ||||||
|
| |||||
Pharmaceuticals – 2.5% |
| |||||
1,738,558 | Bristol-Myers Squibb Co. | 109,755,166 | ||||
97,331 | Johnson & Johnson | 15,996,350 | ||||
207,251 | Merck & Co., Inc. | 15,976,980 | ||||
|
| |||||
141,728,496 | ||||||
|
| |||||
REITs - Diversified – 0.3% |
| |||||
67,683 | American Tower Corp. | 16,180,298 | ||||
|
| |||||
Road & Rail – 0.3% |
| |||||
72,464 | Union Pacific Corp. | 15,971,790 | ||||
|
| |||||
Software – 0.3% |
| |||||
23,768 | iQor Holdings, Inc.(c)(e)(f) | 318,800 | ||||
69,206 | Microsoft Corp. | 16,316,699 | ||||
|
| |||||
16,635,499 | ||||||
|
| |||||
Specialty Retail – 0.3% |
| |||||
52,685 | Home Depot, Inc. (The) | 16,082,096 | ||||
|
| |||||
Technology Hardware, Storage & Peripherals – 0.3% |
| |||||
133,764 | Apple, Inc. | 16,339,273 | ||||
|
| |||||
Total Common Stocks (Identified Cost $659,698,389) | 644,288,944 | |||||
|
| |||||
Preferred Stocks – 1.3% |
| |||||
Convertible Preferred Stocks – 1.1% |
| |||||
Banking – 0.7% |
| |||||
18,804 | Bank of America Corp., Series L, 7.250% | 26,287,992 | ||||
7,500 | Wells Fargo & Co., Class A, Series L, 7.500% | 10,630,575 | ||||
|
| |||||
36,918,567 | ||||||
|
| |||||
Food & Beverage – 0.1% |
| |||||
37,280 | Bunge Ltd., 4.875% | 4,293,964 | ||||
|
| |||||
Healthcare – 0.1% |
| |||||
57,041 | Boston Scientific Corp., Series A, 5.500% | 6,118,218 | ||||
|
| |||||
Midstream – 0.2% |
| |||||
242,297 | El Paso Energy Capital Trust I, 4.750% | 12,146,348 | ||||
|
| |||||
Total Convertible Preferred Stocks (Identified Cost $53,055,926) | 59,477,097 | |||||
|
|
Shares | Description | Value (†) | ||||
Preferred Stocks – continued |
| |||||
Non-Convertible Preferred Stocks – 0.2% |
| |||||
Finance Companies – 0.0% |
| |||||
10,425 | iStar, Inc., Series G, 7.650% | $ | 264,482 | |||
|
| |||||
Home Construction – 0.1% |
| |||||
208,246 | Hovnanian Enterprises, Inc., 7.625%(e) | 4,175,333 | ||||
|
| |||||
REITs - Office Property – 0.0% |
| |||||
1,596 | Highwoods Properties, Inc., Series A, 8.625% | 1,995,000 | ||||
|
| |||||
REITs - Warehouse/Industrials – 0.1% |
| |||||
116,192 | Prologis, Inc., Series Q, 8.540% | 8,075,344 | ||||
|
| |||||
Total Non-Convertible Preferred Stocks (Identified Cost $8,540,568) | 14,510,159 | |||||
|
| |||||
Total Preferred Stocks (Identified Cost $61,596,494) | 73,987,256 | |||||
|
| |||||
Closed-End Investment Companies – 0.0% |
| |||||
170,282 | NexPoint Strategic Opportunities Fund (Identified Cost $10,230,310) | 1,939,512 | ||||
|
| |||||
Principal Amount (‡) |
| |||||
Short-Term Investments – 0.6% |
| |||||
1,906,507,718 | Central Bank of Iceland, 0.000%, (ISK)(g)(p) | 15,035,550 | ||||
16,119,930 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2021 at 0.000% to be repurchased at $16,119,930 on 4/01/2021 collateralized by $15,354,700 U.S. Treasury Note, 2.250% due 11/15/2024 valued at $16,442,366 including accrued interest(q) | 16,119,930 | ||||
|
| |||||
Total Short-Term Investments (Identified Cost $31,637,655) | 31,155,480 | |||||
|
| |||||
Total Investments – 98.3% (Identified Cost $5,335,881,682) | 5,414,608,559 | |||||
Other assets less liabilities – 1.7% | 92,566,646 | |||||
|
| |||||
Net Assets – 100.0% | $ | 5,507,175,205 | ||||
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of March 31, 2021, securities held by the Fund were fair valued as follows:
Securities classified as f air valued | Percentage of Net Assets | Securities fair valued by the Fund’s adviser | Percentage of Net Assets | |||
$53,138,923 | 1.0% | $22,211,595 | 0.4% |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(††) | Amount shown represents units. One unit represents a principal amount of 25. |
(†††) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(††††) | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | Level 3 security. Value has been determined using significant unobservable inputs. |
(b) | Securities subject to restriction on resale. At March 31, 2021, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class C | 12/18/2014 | $ | 23,965,315 | $ | 8,977,550 | 0.2 | % | |||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class D | 12/18/2014 | 10,831,507 | 1,653,971 | Less than 0.1 | % | |||||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class E | 12/18/2014 | 32,732,982 | — | — | ||||||||||||
Lonestar Resources U.S., Inc. | 12/01/2020 | 3,473,775 | * | 2,712,948 | 0.1 | % | ||||||||||
Paragon Offshore Ltd., Litigation Units, Class B | 7/18/2017 | 22,768,653 | 1,761,178 | Less than 0.1 | % | |||||||||||
Pioneer Energy Services Corp. 5.000% PIK or 5.000% Cash | 5/29/2020 | 9,434,195 | 6,604,016 | 0.1 | % | |||||||||||
Pioneer Energy Services Corp. | 5/29/2020 | 17,677,239 | ** | — | — |
* | Represents basis assigned upon receipt in a taxable restructuring. |
** | Represents basis carried over in a non-taxable restructuring. |
(c) | Illiquid security. |
(d) | Fair valued by the Fund’s adviser. At March 31, 2021, the value of these securities amounted to $22,211,595 or 0.4% of net assets. |
(e) | Non-income producing security. |
(f) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2021, the value of these securities amounted to $53,138,923 or 1.0% of net assets. |
(g) | Variable rate security. Rate as of March 31, 2021 is disclosed. |
(h) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
(i) | Perpetual bond with no specified maturity date. |
(j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(k) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2021 is disclosed. |
(l) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(m) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(n) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended March 31, 2021, interest payments were made in principal. |
(o) | Affiliated issuer. |
(p) | Security callable by issuer at any time. No specified maturity date. |
(q) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of March 31, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(r) | New issue unsettled as of March 31, 2021. Coupon rate does not take effect until settlement date. |
(s) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021, the value of Rule 144A holdings amounted to $1,418,949,417 or 25.8% of net assets. |
ABS | Asset-Backed Securities |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MBIA | Municipal Bond Investors Assurance Corp. |
MTN | Medium Term Note |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
BRL | Brazilian Real |
INR | Indian Rupee |
ISK | Icelandic Krona |
MXN | Mexican Peso |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At March 31, 2021, the Fund had the following open centrally cleared credit default swap agreements:
Sell Protection
Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread^ | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.NA HY* Series 36 500, 5-Year | 5.00 | % | 6/20/2026 | 2.88 | % | 266,000,000 | $ | 23,632,341 | $ | 24,001,783 | $ | 369,442 | ||||||||||||||||
|
|
|
|
|
|
|
|
‡) | Notional value* stated in U.S. dollars unless otherwise noted. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.
At March 31, 2021, the Fund had the following open forward foreign currency contracts:
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Bank of America, N.A. | 6/02/2021 | BRL | S | 18,423,000 | $ | 3,267,648 | $ | 3,260,864 | $ | 6,784 | ||||||||||||||||
Bank of America, N.A. | 6/02/2021 | BRL | S | 56,968,000 | 9,993,764 | 10,083,313 | (89,549 | ) | ||||||||||||||||||
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| |||||||||||||||||||||||||
Total |
| $ | (82,765 | ) | ||||||||||||||||||||||
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Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 31, 2021, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra 10 Year U.S. Treasury Note | 6/21/2021 | 1,674 | $ | 242,650,513 | $ | 240,532,875 | $ | 2,117,638 | ||||||||||||
Ultra Long U.S. Treasury Bond | 6/21/2021 | 1,000 | 188,742,798 | 181,218,750 | 7,524,048 | |||||||||||||||
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| |||||||||||||||||||
Total |
| $ | 9,641,686 | |||||||||||||||||
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Affiliated Transactions
As a result of a business restructuring, the Fund received common shares of Pioneer Energy Services Corp. (the “Company”) and Lonestar Resources U.S., Inc. (the “Company”) constituting more than 5% of the voting securities of the Company. As such, the Company was considered to be an affiliate at December 31, 2020. A summary of affiliated transactions for the period ended March 31, 2021, is as follows:
Beginning Value | Purchase Cost | Sales Proceeds | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Ending Value | Investment Income | |||||||||||||||||||||||||
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash | $ | 6,330,947 | $ | — | $ | — | $ | 29,206 | $ | — | $ | 243,863 | $ | 6,604,016 | $ | 127,127 | ||||||||||||||||
Pioneer Energy Services Corp. | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
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Lonestar Resources U.S., Inc. | 3,473,775 | — | — | — | — | (760,827 | ) | 2,712,948 | — | |||||||||||||||||||||||
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| |||||||||||||||||
$ | 9,804,722 | $ | — | $ | — | $ | 29,206 | $ | — | $ | (516,964 | ) | $ | 9,316,964 | $ | 127,127 | ||||||||||||||||
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Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2021, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Other | $ | — | $ | 5,194,630 | $ | 10,631,521 | (a)(b) | $ | 15,826,151 | |||||||
Finance Companies | 2,694,142 | 411,270,843 | — | 413,964,985 | ||||||||||||
Independent Energy | — | 126,739,963 | 501,932 | (c) | 127,241,895 | |||||||||||
All Other Non-Convertible Bonds* | — | 3,692,516,295 | — | 3,692,516,295 | ||||||||||||
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| |||||||||
Total Non-Convertible Bonds | 2,694,142 | 4,235,721,731 | 11,133,453 | 4,249,549,326 | ||||||||||||
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| |||||||||
Convertible Bonds | ||||||||||||||||
Oil Field Services | — | — | 6,604,016 | (c) | 6,604,016 | |||||||||||
All Other Convertible Bonds* | — | 297,922,962 | — | 297,922,962 | ||||||||||||
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| |||||||||
Total Convertible Bonds | — | 297,922,962 | 6,604,016 | 304,526,978 | ||||||||||||
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| |||||||||
Municipals* | — | 71,369,194 | — | 71,369,194 | ||||||||||||
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| |||||||||
Total Bonds and Notes | 2,694,142 | 4,605,013,887 | 17,737,469 | 4,625,445,498 | ||||||||||||
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| |||||||||
Senior Loans* | — | 21,044,494 | — | 21,044,494 | ||||||||||||
Collateralized Loan Obligations | — | 3,877,375 | 12,870,000 | (d) | 16,747,375 | |||||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 10,129,843 | — | 10,129,843 | ||||||||||||
Oil Field Services | — | — | — | (b) | — | |||||||||||
Oil, Gas & Consumable Fuels | 49,893,267 | — | 4,474,126 | (c) | 54,367,393 | |||||||||||
Software | 16,316,699 | 318,800 | — | 16,635,499 | ||||||||||||
All Other Common Stocks* | 563,156,209 | — | — | 563,156,209 | ||||||||||||
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| |||||||||
Total Common Stocks | 629,366,175 | 10,448,643 | 4,474,126 | 644,288,944 | ||||||||||||
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| |||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 4,293,964 | — | 4,293,964 | ||||||||||||
All Other Convertible Preferred Stocks* | 55,183,133 | — | — | 55,183,133 | ||||||||||||
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| |||||||||
Total Convertible Preferred Stocks | 55,183,133 | 4,293,964 | — | 59,477,097 | ||||||||||||
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| |||||||||
Non-Convertible Preferred Stocks | ||||||||||||||||
REITs – Office Property | — | 1,995,000 | — | 1,995,000 | ||||||||||||
REITs – Warehouse/Industrials | — | 8,075,344 | — | 8,075,344 | ||||||||||||
All Other Non-Convertible Preferred Stocks* | 4,439,815 | — | — | 4,439,815 | ||||||||||||
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| |||||||||
Total Non-Convertible Preferred Stocks | 4,439,815 | 10,070,344 | — | 14,510,159 | ||||||||||||
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| |||||||||
Total Preferred Stocks | 59,622,948 | 14,364,308 | — | 73,987,256 | ||||||||||||
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| |||||||||
Closed-End Investment Companies | 1,939,512 | — | — | 1,939,512 | ||||||||||||
Short-Term Investments | — | 31,155,480 | — | 31,155,480 | ||||||||||||
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| |||||||||
Total Investments | 693,622,777 | 4,685,904,187 | 35,081,595 | 5,414,608,559 | ||||||||||||
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Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 369,442 | — | 369,442 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 6,784 | — | 6,784 | ||||||||||||
Futures Contracts (unrealized appreciation) | 9,641,686 | — | — | 9,641,686 | ||||||||||||
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| |||||||||
Total | $ | 703,264,463 | $ | 4,686,280,413 | $35,081,595 | $ | 5,424,626,471 | |||||||||
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Liability Valuation Inputs |
| |||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (89,549 | ) | $ | — | $ | (89,549 | ) | ||||||
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* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Fund’s adviser using a broker dealer bid price provided by a single market maker. |
(b) | Includes securities fair valued at zero by the Fund’s adviser using level 3 inputs. |
(c) | Fair valued by the Fund’s adviser. |
(d) | Valued using broker-dealer bid prices. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2020 and/or March 31, 2021:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2020 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of March 31, 2021 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2021 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Other | $ | 14,217,962 | (a) | $ | — | $ | — | $ | 615,530 | $ | 668,419 | $ | — | $ | — | $ | (4,870,390 | ) | $ | 10,631,521 | (a) | $ | 615,530 | |||||||||||||||||
Independent Energy | — | 82,863 | — | 327,607 | — | — | 91,462 | — | 501,932 | 327,607 | ||||||||||||||||||||||||||||||
Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Oil Field Services | 6,330,947 | 29,206 | — | 243,863 | — | — | — | — | 6,604,016 | 243,863 | ||||||||||||||||||||||||||||||
Senior Loans | ||||||||||||||||||||||||||||||||||||||||
Construction Machinery | 9,862,216 | 481,377 | (6,541,739 | ) | 6,069,631 | — | (9,871,485 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Collateralized Loan Obligations | — | — | — | — | 12,870,000 | — | — | — | 12,870,000 | — | ||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Oil Field Services | — | (a) | — | — | — | — | — | — | — | — | (a) | — | ||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 3,473,775 | (a) | — | (1,167,147 | ) | 701,728 | — | — | 1,465,770 | — | 4,474,126 | (465,418 | ) | |||||||||||||||||||||||||||
Specialty Retail | — | (a) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy | — | (a) | — | (122,532,800 | ) | 122,532,800 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Warrants | 9,760,259 | — | — | 8,285,057 | — | (18,045,316 | ) | — | — | — | — | |||||||||||||||||||||||||||||
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Total | $ | 43,645,159 | $ | 593,446 | $ | (130,241,686 | ) | $ | 138,776,216 | $ | 13,538,419 | $ | (27,916,801 | ) | $ | 1,557,232 | $ | (4,870,390 | ) | $ | 35,081,595 | $ | 721,582 | |||||||||||||||||
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(a) | Includes a security fair valued at zero using Level 3 inputs. |
A debt security valued at $4,870,390 was transferred from Level 3 to Level 2 during the period ended March 31, 2021. At December 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At March 31, 2021, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
Debt securities valued at $91,462 were transferred from Level 2 to Level 3 during the period ended March 31, 2021. At December 31, 2020, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2021, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the securities.
A common stock valued at $1,465,770 was transferred from Level 2 to Level 3 during the period ended March 31, 2021. At December 31, 2020, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2021, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts and swap agreements.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. During the period ended March 31, 2021, engaged in credit default swap agreements (as a protection seller) to hedge its credit exposure.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended March 31, 2021, the Fund engaged in forward foreign currency contracts for hedging purposes and to gain exposure to foreign currencies.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended March 31, 2021, the Fund engaged in futures contracts for duration management purposes.
The following is a summary of derivative instruments for the Fund, as of March 31, 2021:
Assets | Unrealized appreciation on forward foreign currency contracts | Swap agreements at value | Unrealized appreciation on futures contracts | |||||||||
Over-the-counter asset derivatives | ||||||||||||
Foreign exchange contracts | $ | 6,784 | $ | — | $ | — | ||||||
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|
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| |||||||
Exchange-traded/cleared asset derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 9,641,686 | | |||||
Credit contracts | — | 24,001,783 | — | |||||||||
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|
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|
| |||||||
Total exchange-traded/cleared asset derivatives | $ | — | $ | 24,001,783 | $ | 9,641,686 | ||||||
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| |||||||
Total asset derivatives | $ | 6,784 | $ | 24,001,783 | $ | 9,641,686 | ||||||
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|
|
Liabilities | Unrealized depreciation on forward foreign currency contracts | |||
Over-the-counter liability derivatives | ||||
Foreign exchange contracts | $ | (89,549 | ) |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
OTC derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of March 31, 2021, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty | Derivatives | Collateral Pledged | ||
Bank of America, N.A. | $ (82,765) | $ — |
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2021:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |
$ 41,798,197 | $ 41,791,413 |
Industry Summary at March 31, 2021 (Unaudited)
Treasuries | 14.1 | % | ||
Finance Companies | 7.5 | |||
Banking | 6.5 | |||
Cable Satellite | 5.5 | |||
Aerospace & Defense | 4.8 | |||
Pharmaceuticals | 3.6 | |||
Healthcare | 3.4 | |||
Wirelines | 3.3 | |||
Metals & Mining | 3.0 | |||
Wireless | 3.0 | |||
Technology | 3.0 | |||
Consumer Cyclical Services | 2.9 | |||
Automotive | 2.7 | |||
Independent Energy | 2.6 | |||
Airlines | 2.3 | |||
Other Investments, less than 2% each | 29.2 | |||
Short-Term Investments | 0.6 | |||
Collateralized Loan Obligations | 0.3 | |||
Closed-End Investment Companies | 0.0 | * | ||
|
| |||
Total Investments | 98.3 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 1.7 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
* | Less than 0.1% |